TY  - BOOK
AU  - Fallahgoul,Hasan A.
AU  - Focardi,Sergio M.
AU  - Fabozzi,Frank J.
TI  - Fractional calculus and fractional processes with applications to financial economics: theory and application 
SN  - 9780128042489
AV  - QA314 .F35 2017
U1  - 515.83 23
KW  - Fractional calculus
KW  - Finance
KW  - Economics
KW  - MATHEMATICS / Calculus
KW  - bisacsh
KW  - MATHEMATICS / Mathematical Analysis
KW  - BUSINESS & ECONOMICS / Business Mathematics
KW  - fast
N1  - Includes bibliographical references (pages 97-101) and index; Fractional Calculus and Fractional Processes with Applications to Financial Economics: Theory and Application; Copyright; Dedication ; About the Authors; Contents; List of illustrations; Part I Theory; 1 Fractional calculus and fractional processes: an overview; 1.1 Fractional calculus; 1.2 Fractional processes; 2 Fractional Calculus; 2.1 Different definitions for fractional derivatives; 2.2 Computation with Matlab; Key points of the chapter ; 3 Fractional Brownian Motion; 3.1 Definition; 3.2 Long-Range Dependency; 3.3 Self-Similarity; 3.4 Existence of Arbitrage; Key points of the chapter 4 Fractional Diffusion and Heavy Tail Distributions: Stable Distribution; 4.1 Univariate Stable Distribution; 4.2 Multivariate Stable Distribution; Key points of the chapter ; 5 Fractional Diffusion and Heavy Tail Distributions: Geo-Stable Distribution; 5.1 Univariate Geo-stable Distribution; 5.2 Multivariate Geo-stable Distribution; Key points of the chapter ; Part II Applications; 6 Fractional Partial Differential Equation and Option Pricing; 6.1 Option Pricing and Brownian Motion; 6.2 Option Pricing and the L�evy Process; Key points of the chapter; 7 Continuous-Time Random Walk and Fractional Calculus7.1 Continuous-Time Random Walk; 7.2 Fractional Calculus and Probability Density Function; 7.3 Applications; Key points of the chapter ; 8 Applications of Fractional Processes; 8.1 Fractionally Integrated Time Series; 8.2 Stock-Returns and Volatility Processes; 8.3 Interest-Rate Processes; 8.4 Order Arrival Processes; Key points of the chapter ; References; Index ; Back Cover
ER  -